VPN provides an encrypted connection through which all connections from your phone/laptop are tunneled to a server you trust, and then to the public internet. VPNs are handy if you don't trust the provider of the network you are on (such as a free public wifi network) or if you need to get around a firewall (such as to access Facebook from China, where it's blocked).

Here are some popular VPN providers: http://www.pcmag.com/article2/0,2817,2403388,00.asp

Your employer may also have a VPN you can use.

Why do you want to get a VPN connection?